Internalizing symptoms such as elevated stress and sustained negative affect can be important warning signs for developing mental disorders. A recent theoretical framework suggests a complex interplay of empathy, theory of mind (ToM), and negative thinking processes as a crucial risk combination for internalizing symptoms. To disentangle these relationships, this study utilizes neural, behavioral, and self‐report data to examine how the interplay between empathy, ToM, and negative thinking processes relates to stress and negative affect. We reanalyzed the baseline data of N = 302 healthy participants (57% female, Mage = 40.52, SDage = 9.30) who participated in a large‐scale mental training study, the ReSource project. Empathy and ToM were assessed using a validated fMRI paradigm featuring naturalistic video stimuli and via self‐report. Additional self‐report scales were employed to measure internalizing symptoms (perceived stress, negative affect) and negative thinking processes (rumination and self‐blame). Our results revealed linear associations of self‐reported ToM and empathic distress with stress and negative affect. Also, both lower and higher, compared to average, activation in the anterior insula during empathic processing and in the middle temporal gyrus during ToM performance was significantly associated with internalizing symptoms. These associations were dependent on rumination and self‐blame. Our findings indicate specific risk constellations for internalizing symptoms. Especially people with lower self‐reported ToM and higher empathic distress may be at risk for more internalizing symptoms. Quadratic associations of empathy‐ and ToM‐related brain activation with internalizing symptoms depended on negative thinking processes, suggesting differential effects of cognitive and affective functioning on internalizing symptoms. Using a multi‐method approach, these findings advance current research by shedding light on which complex risk combinations of cognitive and affective functioning are relevant for internalizing symptoms. We used a multi‐method approach to disentangle risk combinations for internalizing symptoms. Quadratic effects of empathy‐ and theory of mind‐related brain activation on internalizing symptoms depended on negative thinking, highlighting the importance of a nuanced exploration of individual differences and interactions when examining vulnerability to internalizing symptoms.